I like glimpses into Imperial society. What human kind has done to itself and and conditioned itself into in order to keep going in such a hostile universe.
Plus, the outlandish feats performed by Adeptus astartes and the like mean very little if you don't have the point of reference of a standard human to contrast.

It probably is the ork psychic abilities. Pretty much all their junk technology works only because they believe it does and so on. Waagh powers are just fantastic. I also really liked that this one ork brutalized deamons so well that he impressed Khorne so much that he granted him his own personal "hell" of infinite battle.

The general design of everything: races, weapons, characters. The bleakness and brutality of it (grimdark, although that's a bit of a silly saying lol) and its glorious setting/backdrop. It stands tall over nearly every other fiction imo.

I really like how huge the universe is, absolutely everything is over the top ... you got tons of sci-fi universes where they talk about whole galaxy and all you see is few guys and everyone is human ... here you have small uprising somewhere so you just ditch million of soldiers, our planet has 7 billion people? well here you have cities with more people, our space ships are 10km long, imagine what it must be fighting under 50 meters of walking metal that is shooting bullets the size of tank you are sitting in ...
its really cool, it makes you feel small and makes you realize that its not just about a bunch of your favourite characters in book but its about whole race going to hell in giant hole thats whole galaxy

This is the best thing. The history of The Imperium is basically Paradise Lost but better. Instead of God imprisoning Lucifer, God kills Lucifer but is mortally wounded and in a coma. In a universe without leadership from God, the angels (space marines) are left with the burden of protecting humanity alone. That's as grim and dark as it gets.

Fifteen Hours, haven't read that in years. I am partial to Rebel Winter myself. Working the the Gaunt's Ghosts novels now.

Favorite for me has to be Orks in general. Most of them are so stupid, it's a wonder they're even a threat. I mean they're like let's ride this rock down to the planet and kill all the Humes! And no one ever goes "you serious?", it's just all for the WAAAGH!!!

Many factions fighting each other. Theoretically, you can have Tau against Necron in one sector and Eldar against Tyranid in another. Too bad the execution is extremely poor by writers of Codice and Black Library that every story we get has to feature the Imperium of Man, as well as brainless ideas about how factions should be fighting (or should not be fighting).